Reddit seems to favor this explanation so far:Rust has been gathering evidence against the cult and collecting it in his storage container. He knows how dangerous it is to confront these people so he's constantly going off grid and popping up at crime scenes involved with the yellow king and the cult. He probably left that woman he was set up with to protect her from any consequences that he might incur by fucking with these people, after seeing that they could convince that guy to kill himself with a phone call.

Also saw this on there:Nick Pizzolatto mentions on the recap of this episode that part of the reason Rust drank during the interview is so that anything he says is inadmissible in court. Also because he's an alcoholic.

Starting to look like Cohle isn't a washed up alcoholic at all. I think he's undercover again like he was during his narco days, but I think this time he's acting alone, not as a detective.

This show is too good, it's a shame a lot more people don't know about it. Probably has something to do with the title of the show and the fact that it plays at the same time as The Walking Dead on Sundays.